Reading List (Advanced Alpha Design)

Question

I am busy working on a getting started guide for advanced quantitative finance (for alpha design) and have been searching for the seminal books/literature for the field.

So far I have the following list but I feel as if I must be missing a few texts:

• Active Portfolio Management
• Quantitative Equity Portfolio Management
• Expected Returns by Antti Ilmanen
• Advances in Financial Machine Learning
• Options, Futures, and Other Derivatives
• Online Portfolio Selection
• AQR's 20 for Twenty

Are there any other great texts that we should add? I am open to the idea of academic papers as well.

2 Examples of knock out good papers (imo) are:

1. Empirical Asset Pricing via Machine Learning
2. Building Diversified Portfolios that Outperform Out of Sample

Answer 1

my personal favorite in addition to APM is Quantitative Equity Investing. I think of it as alpha 101 as it goes thru modelling time series, covariance matrix, then to factor portfolio optimization, transaction costs etc.

Answer 2

What about Empirical Asset Pricing? A standard book about many known anomalies and ways of detecting/testing them. May help to generate some alpha when strategies around these ideas are exploided.